THE LOCAL ASYMPTOTIC POWER OF CERTAIN TESTS FOR FRACTIONAL INTEGRATION

DOI10.1017/S0266466699155038zbMath0963.62081OpenAlexW1967243978MaRDI QIDQ4512708

Jonathan H. Wright

Publication date: 5 July 2001

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466699155038

zbMATH Keywords

partial sum processfractional integrationasymptotic powerlocal atternatives

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (4)

Local asymptotic powers of nonparametric and semiparametric tests for fractional integration ⋮ EMPIRICAL LIKELIHOOD FOR GARCH MODELS ⋮ Local Asymptotic Distributions of Stationarity Tests ⋮ Nonparametric likelihood inference for general autoregressive models

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